𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Equilibrium selection in a bargaining problem with transaction costs

✍ Scribed by U. Leopold-Wildburger


Publisher
Springer-Verlag
Year
1985
Tongue
English
Weight
895 KB
Volume
14
Category
Article
ISSN
0020-7276

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Multi-asset portfolio selection problem
✍ Marianne Akian; Jose Luis Menaldi; AgnΓ¨s Sulem πŸ“‚ Article πŸ“… 1995 πŸ› Elsevier Science 🌐 English βš– 469 KB

This paper considers the optimal consumption and investment policy for an investor who has available one bank account paying a fixed interest rate r and n risky assets whose prices are log-normal diffusions. We suppose that transactions between the assets incur a cost proportional to the size of the

A new optimal portfolio selection strate
✍ Hui Peng; Genshiro Kitagawa; Min Gan; Xiaohong Chen πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 170 KB

## Abstract A new optimal portfolio selection method within the Markowitz mean–variance framework is presented in this paper. The model proposed in the paper includes expected return, trading risk, and in particular, a quadratic form in the transaction costs of the portfolio. Using this model yield